Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0678
Annualized Std Dev 0.2713
Annualized Sharpe (Rf=0%) -0.2500

Row

Daily Return Statistics

Close
Observations 3519.0000
NAs 1.0000
Minimum -0.1359
Quartile 1 -0.0074
Median 0.0001
Arithmetic Mean -0.0001
Geometric Mean -0.0003
Quartile 3 0.0076
Maximum 0.3291
SE Mean 0.0003
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0004
Variance 0.0003
Stdev 0.0171
Skewness 1.2542
Kurtosis 45.7381

Downside Risk

Close
Semi Deviation 0.0122
Gain Deviation 0.0129
Loss Deviation 0.0134
Downside Deviation (MAR=210%) 0.0168
Downside Deviation (Rf=0%) 0.0122
Downside Deviation (0%) 0.0122
Maximum Drawdown 0.7847
Historical VaR (95%) -0.0239
Historical ES (95%) -0.0409
Modified VaR (95%) -0.0059
Modified ES (95%) -0.0059
From Trough To Depth Length To Trough Recovery
2007-04-18 2020-03-23 NA -0.7847 3507 3256 NA
2007-04-10 2007-04-10 2007-04-12 -0.0036 3 1 2
2007-03-29 2007-03-29 2007-04-04 -0.0012 5 1 4
2007-04-13 2007-04-13 2007-04-16 -0.0004 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA 0 0 0.9 2.2 -1.3 4.1 -0.1 -2.3 0.9 0.4 4.7
2008 1.9 -1.5 1.6 0 -0.3 -3.9 -1.3 -0.4 2.5 0.4 -2.9 2.3 -1.9
2009 -0.3 0.1 -6.4 2.5 4 0.3 1.4 0.4 -5.7 -4.8 2.1 0.1 -6.8
2010 2.9 1.4 -1.1 -2.1 -1 -5.6 1 3.8 -1.6 0.7 2.7 0.3 1
2011 1.7 -0.4 -2 0.6 -1.3 -2 -0.3 0.2 -8.4 -0.7 -0.1 -1.1 -13.2
2012 1.3 0.5 0.7 0.4 0.1 2.8 0.6 0.3 -2.7 0.9 0.5 1.2 6.8
2013 0.9 0.4 -1.7 -1.1 -2.5 -1.5 0.5 -0.4 -1.6 -0.4 0.5 -0.3 -6.9
2014 0 0.2 -1.8 -0.3 0.5 -2.1 -0.1 0.2 -2.9 0.8 -1.3 0.7 -6.1
2015 -1.1 0.5 -2.2 0.1 -0.5 -1.6 0.5 -1.3 -0.7 0 0.5 0 -5.6
2016 -0.1 1.9 -3.8 -0.8 0.2 -1.8 -0.8 0.9 -1 -0.3 0.4 0.1 -4.9
2017 -0.3 0.2 0.7 0.3 0.4 0.7 0 0.6 0.7 0.9 0.2 0.2 4.6
2018 -1.3 -0.6 4.6 -1 3.1 1.4 -0.7 0 -2.3 1.5 -0.8 0.4 4.2
2019 -0.3 0.6 -1.8 1.1 2.2 -2.5 -2.7 1.1 -4.5 1.4 -0.1 1.2 -4.4
2020 -1.1 -4 -6.6 -3.8 1.9 -2 -0.3 0.6 -4 -0.5 1 -0.9 -18.2
2021 0.9 1.9 -0.1 NA NA NA NA NA NA NA NA NA 2.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-03-28  25.0 SPY    142. -0.0073 -0.0103    0.0166   0.0076   0.0908    0.278    0.241 GLD    66.0  5.30e-3   0.0035
2 2007-03-29  25   SPY    142.  0.0011 -0.0085    0.0074   0.0028   0.0987    0.279    0.239 GLD    65.6 -6.10e-3  -0.0017
3 2007-03-30  25   SPY    142   0.0002 -0.0097    0.0106  -0.0036   0.0921    0.261    0.24  GLD    65.7  1.40e-3   0.0091
4 2007-04-02  25   SPY    142.  0.0011 -0.0073    0.0252  -0.0004   0.0952    0.258    0.241 GLD    65.8  1.70e-3   0.0002
5 2007-04-03  25   SPY    144.  0.0108  0.00580   0.0462   0.0146   0.107     0.270    0.261 GLD    65.8 -3.00e-4   0.002 
6 2007-04-04  25.0 SPY    144.  0.0011  0.0143    0.0297   0.0175   0.109     0.264    0.271 GLD    66.8  1.49e-2   0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart